Using a density functional method, we investigate the properties of liquid 4He droplets doped with atoms (Ne and Xe) and molecules ( SF6 and hydrogen cyanide). We consider the case of droplets having a quantized vortex pinned to the dopant. A liquid-drop formula is proposed that accurately describes the total energy of the complex and allows one to extrapolate the density functional results to large N. For a given impurity, we find that the formation of a dopant+vortex+4HeN complex is energetically favored below a critical size Ncr. Our results support the possibility to observe quantized vortices in helium droplets by means of spectroscopic techniques.